NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following ratings and Rating Outlooks to the notes issued by World Omni Automobile Lease Securitization Trust 2015-A:
--$103,000,000 class A-1 'F1+sf';
--$150,000,000 class A-2a 'AAAsf'; Outlook Stable;
--$120,000,000 class A-2b 'AAAsf'; Outlook Stable;
--$213,590,000 class A-3 'AAAsf'; Outlook Stable;
--$72,770,000 class A-4 'AAAsf'; Outlook Stable;
--$28,230,000 class B 'AAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: 2015-A has a weighted average (WA) FICO score of 737, a decrease from prior securitizations, but consistent with a prime portfolio. The base residual value percentage has decreased modestly to 69.5% from 69.9% for WOLS 2014-A.
Adequate Credit Enhancement Structure: Initial credit enhancement (CE) is expected to be 16.40% and 12.80% of the initial securitization value (SV) for the class A and B notes, respectively, growing to 17.90% and 14.30% of the initial SV. Fitch's 'BB' residual value (RV) loss expectation is 9.05% of base residual and Fitch's credit loss proxy is 0.85% of SV.
Collateral Concentration Risks: The two largest models, Toyota Camry and Corolla, total 27.5% and 17.2% in 2015-A compared to 32.2% and 13.7% in 2014-A; these models have produced low and infrequent RV losses. While the lease maturities in 2015-A are heavily concentrated at the end of 2017 and in the first half of 2018 (57.9%), the overall portfolio has a WA original term of 36.4 months, in line with 2014-A.
Evolving Wholesale Market: The U.S. wholesale vehicle market has been normalizing following strong performance in recent years. Fitch expects that increasing off-lease vehicle supply and pressure from increased production levels will lead to decreased residual realizations during the life of the transaction.
Quality of Origination, Underwriting, and Servicing Platform: World Omni demonstrates adequate abilities as originator, underwriter, and servicer, as evidenced by historical delinquency, credit loss, and RV loss performance of the managed portfolio and securitizations.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of World Omni would not impair the timeliness of payments on the notes.
Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and would likely result in declines of CE and loss coverage levels available to the notes. Hence, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to 125 sample loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ASB Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in the reports titled ' World Omni Automobile Lease Securitization Trust 2015-A -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated June 12, 2015.
Additional information is available at www.fitchratings.com.
Criteria for Interest Rate Stresses in Structured Finance Transactions
and Covered Bonds (pub. 19 Dec 2014)
Criteria for Rating U.S. Auto Lease ABS (pub. 24 Apr 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
World Omni Automobile Lease Securitization Trust 2015-A -- Appendix
Dodd-Frank Rating Information Disclosure Form